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The risk effects of acquiring distressed firms
Bruyland, Evy; De Maeseneire, Wouter - 2011
Persistent link: https://www.econbiz.de/10009354984
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Stock return volatility and financial distress : moderating roles of ownership structure, managerial ability, and financial constraints
Giang Thi Huong Vuong; Nguyen Phuc Van; Barky, Walid; … - In: International review of economics & finance : IREF 91 (2024), pp. 634-652
Persistent link: https://www.econbiz.de/10014492245
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Market microstructure effects on firm default risk evaluation
Barsotti, Flavia; Sanfelici, Simona - In: Econometrics : open access journal 4 (2016) 3, pp. 1-31
estimation plays a key role in its evaluation. Assuming a structural credit risk modeling approach, we study the impact of … effects of different non-parametric estimation techniques on default probability evaluation. The impact of the non …
Persistent link: https://www.econbiz.de/10011506497
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Options on troubled stock
Câmara, António; Popova, Ivilina; Simkins, Betty J. - In: The journal of futures markets 34 (2014) 7, pp. 637-657
Persistent link: https://www.econbiz.de/10010507943
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An alternative approach to estimation of the probability of default for commercial entities: the modified KMV Merton model
Njeru, Andrew Kioi - 2019
We carry out an empirical test of KMV model for using private companies that are not listed on a stock exchange and in doing so, substitute book values for market values and fluctuations of bank account balances for volatility of stock prices. This study reveals a surprising effectiveness of the...
Persistent link: https://www.econbiz.de/10012801649
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GARCH volatilities applied to an asset selection algorithm : the case of fixed income markets
Corelli, Angelo - In: International journal of bonds and derivatives 4 (2018) 1, pp. 52-62
Persistent link: https://www.econbiz.de/10012253412
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Subprime credit, idiosyncratic risk, and foreclosures
Simlai, Prodosh - In: The quarterly review of economics and finance : journal … 74 (2019), pp. 175-189
Persistent link: https://www.econbiz.de/10012297241
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Measuring the financial soundness of U.S. firms, 1926-2012
Atkeson, Andrew; Eisfeldt, Andrea L.; Weill, Pierre-Olivier - In: Research in economics : an international review of economics 71 (2017) 3, pp. 613-635
Persistent link: https://www.econbiz.de/10011878948
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Bankruptcy of Lehman Brothers : determinants of cross-country impacts on stock market volatility
Daehwan, Kim; Song, Chi-young - In: International journal of economics and financial issues … 7 (2017) 3, pp. 210-219
Persistent link: https://www.econbiz.de/10011819833
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Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility
Forte, Santiago; Lovreta, Lidija - In: The journal of corporate finance : contracting, … 79 (2023), pp. 1-33
Persistent link: https://www.econbiz.de/10014250993